Global Historical Data on Long-Maturity Real Interest Rates

Bank of England

2024/02/04

This dataset contains annual real interest rate data spanning over 700 years across multiple countries. It was used by Kenneth S. Rogoff, Barbara Rossi, and Paul Schmelzing in their 2024 American Economic Review paper to investigate the long-term statistical properties and historical inflection points of long-maturity real interest rates. The data incorporates archival sources, reconstructed bond yields, and modern government bond data to provide a continuous view of rate trends and structural breaks since the 14th century.